The successive hitting times for the integrated Brownian motion (Q677671)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 999601
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The successive hitting times for the integrated Brownian motion |
scientific article; zbMATH DE number 999601 |
Statements
The successive hitting times for the integrated Brownian motion (English)
0 references
26 November 1997
0 references
Let \(B_t\) be the real Brownian motion, and \(X_t: =x+\int^t_0 (y+B_s)ds\). Set \(\tau_{n+1}: =\min \{t> \tau_n\mid X_t=0\}\) and \(\beta_n: =|B_{\tau_n} |\). The author computes the Kontorovich-Lebedev transform of \((\tau_n,\beta_n)\) in the two cases: \(\tau_0 =0\) or 1, and then deduces rather complicated formulas for the density of \((\tau_n, \beta_n)\), thereby completing an ancient article by H. P. McKean.
0 references
hitting times
0 references
Mellin transform
0 references
Brownian motion
0 references
Kontorovich-Lebedev transform
0 references
0.8099499344825745
0 references
